NumericLgmCallableBondEngine Class Reference

Inheritance diagram for NumericLgmCallableBondEngine:

Public Member Functions
	NumericLgmCallableBondEngine (const Handle< LGM > &model, const Real sy, const Size ny, const Real sx, const Size nx, const Size americanExerciseTimeStepsPerYear=24, const Handle< QuantLib::YieldTermStructure > &referenceCurve=Handle< QuantLib::YieldTermStructure >(), const Handle< QuantLib::Quote > &discountingSpread=Handle< QuantLib::Quote >(), const Handle< QuantLib::DefaultProbabilityTermStructure > &creditCurve=Handle< QuantLib::DefaultProbabilityTermStructure >(), const Handle< QuantLib::YieldTermStructure > &incomeCurve=Handle< QuantLib::YieldTermStructure >(), const Handle< QuantLib::Quote > &recoveryRate=Handle< QuantLib::Quote >(), const bool spreadOnIncome=true, const bool generateAdditionalResults=true)
	NumericLgmCallableBondEngine (const Handle< LGM > &model, const Real maxTime=50.0, const QuantLib::FdmSchemeDesc scheme=QuantLib::FdmSchemeDesc::Douglas(), const Size stateGridPoints=64, const Size timeStepsPerYear=24, const Real mesherEpsilon=1E-4, const Size americanExerciseTimeStepsPerYear=24, const Handle< QuantLib::YieldTermStructure > &referenceCurve=Handle< QuantLib::YieldTermStructure >(), const Handle< QuantLib::Quote > &discountingSpread=Handle< QuantLib::Quote >(), const Handle< QuantLib::DefaultProbabilityTermStructure > &creditCurve=Handle< QuantLib::DefaultProbabilityTermStructure >(), const Handle< QuantLib::YieldTermStructure > &incomeCurve=Handle< QuantLib::YieldTermStructure >(), const Handle< QuantLib::Quote > &recoveryRate=Handle< QuantLib::Quote >(), const bool spreadOnIncome=true, const bool generateAdditionalResults=true)
std::pair< Real, Real >	forwardPrice (const QuantLib::Date &forwardNpvDate, const QuantLib::Date &settlementDate, const bool conditionalOnSurvival=true, std::vector< CashFlowResults > *const cfResults=nullptr, QuantLib::Leg *const expectedCashflows=nullptr) const override
	ForwardEnabledBondEngine interface.
Public Member Functions inherited from NumericLgmCallableBondEngineBase
	NumericLgmCallableBondEngineBase (const QuantLib::ext::shared_ptr< LgmBackwardSolver > &solver, const Size americanExerciseTimeStepsPerYear=24, const Handle< QuantLib::YieldTermStructure > &referenceCurve=Handle< QuantLib::YieldTermStructure >(), const Handle< QuantLib::Quote > &discountingSpread=Handle< QuantLib::Quote >(), const Handle< QuantLib::DefaultProbabilityTermStructure > &creditCurve=Handle< QuantLib::DefaultProbabilityTermStructure >(), const Handle< QuantLib::YieldTermStructure > &incomeCurve=Handle< QuantLib::YieldTermStructure >(), const Handle< QuantLib::Quote > &recoveryRate=Handle< QuantLib::Quote >(), const bool spreadOnIncome=true)

Additional Inherited Members
Protected Member Functions inherited from NumericLgmCallableBondEngineBase
void	calculate () const
Protected Attributes inherited from NumericLgmCallableBondEngineBase
QuantLib::ext::shared_ptr< LgmBackwardSolver >	solver_
Size	americanExerciseTimeStepsPerYear_
Handle< QuantLib::YieldTermStructure >	referenceCurve_
Handle< QuantLib::Quote >	discountingSpread_
Handle< QuantLib::DefaultProbabilityTermStructure >	creditCurve_
Handle< QuantLib::YieldTermStructure >	incomeCurve_
Handle< QuantLib::Quote >	recoveryRate_
bool	spreadOnIncome_
Date	npvDate_
Date	settlementDate_
bool	conditionalOnSurvival_ = true
std::vector< CashFlowResults > *	cfResults_ = nullptr
Leg *	expectedCashflows_ = nullptr
CallableBond::arguments *	instrArgs_ = nullptr
bool	generateAdditionalResults_ = false
Real	npv_
Real	settlementValue_
std::map< std::string, QuantLib::ext::any >	additionalResults_

Member Function Documentation

forwardPrice()

std::pair< Real, Real > forwardPrice ( const QuantLib::Date & forwardNpvDate, const QuantLib::Date & settlementDate, const bool conditionalOnSurvival = true, std::vector< CashFlowResults > *const cfResults = nullptr, QuantLib::Leg *const expectedCashflows = nullptr ) const

overridevirtual

ForwardEnabledBondEngine interface.

Implements ForwardEnabledBondEngine.